1 Introduction
2 Literature review
3 Data and methodology
3.1 Empirical model and data
3.2 Empirical methodology
3.2.1 Integration process
3.2.2 Cointegration process
4 Empirical results
Index: BAD | PCA1 | PCA2 | PCA3 | Pca4 |
---|---|---|---|---|
Eigenvalues | 3.7890 | 0.2008 | 0.0078 | 0.0022 |
Proportion | 0.9473 | 0.0502 | 0.0020 | 0.0006 |
Cumulative proportion | 0.9473 | 0.9975 | 0.9994 | 1.0000 |
Variables | Vector 1 | Vector 2 | Vector 3 | Vector 4 |
---|---|---|---|---|
DMB | 0.5119 | 0.0783 | − 0.8553 | 0.0130 |
FSD | 0.5069 | − 0.349 | 0.2601 | − 0.744 |
LL | 0.4797 | 0.7957 | 0.3612 | 0.0799 |
PC | 0.5008 | -0.4888 | 0.2651 | 0.6633 |
Index:SMD | PCA1 | PCA2 | PCA3 | |
---|---|---|---|---|
Eigenvalues | 2.1359 | 0.8051 | 0.0589 | – |
Proportion | 0.7120 | 0.2684 | 0.0197 | – |
Cumulative proportion | 0.7120 | 0.9803 | 1.0000 | – |
Variables | Vector 1 | Vector 2 | Vector 3 | |
---|---|---|---|---|
SC | 0.6179 | − 0.4454 | 0.6479 | – |
ST | 0.4145 | 0.8848 | 0.2129 | – |
STR | 0.6681 | − 0.1370 | − 0.7314 | – |
Index: BND | PCA1 | PCA2 | PCA3 | PCA4 |
---|---|---|---|---|
Eigenvalues | 2.2539 | 1.4405 | 0.1940 | 0.1113 |
Proportion | 0.5635 | 0.3601 | 0.0485 | 0.0278 |
Cumulative proportion | 0.5635 | 0.9236 | 0.9722 | 1.0000 |
Variables | Vector 1 | Vector 2 | Vector 3 | Vector 4 |
---|---|---|---|---|
DPRI | 0.4952 | − 0.5227 | 0.0200 | 0.6936 |
DPUB | 0.3355 | 0.6819 | 0.5969 | 0.2572 |
IPRI | 0.5901 | − 0.3176 | 0.3198 | − 0.6698 |
IPUB | 0.5423 | 0.4011 | − 0.7355 | − 0.0636 |
Variables | t-statistics | TB | Variables | t-statistics | TB |
---|---|---|---|---|---|
lnINE | − 3.750 | 2001 | ∆lnINE | − 5.304*** | 2001 |
lnY | − 4.112 | 1999 | ∆lnY | − 5.167*** | 1996 |
lnINF | − 4.314* | 2001 | ∆lnINF | − 5.159*** | 2000 |
lnG | − 4.144 | 2007 | ∆lnG | − 6.466*** | 2008 |
lnFD | − 3.568 | 2001 | ∆lnFD | − 6.684*** | 2002 |
lnBAD | − 3.802 | 2007 | ∆lnBAD | − 6.534*** | 2011 |
lnSMD | − 4.340* | 2004 | ∆lnSMD | − 5.370*** | 2001 |
lnBND | − 3.512 | 2001 | ∆lnBND | − 6.482*** | 2001 |
Estimated model | INE = f(Y,INF,G,FD) | INE = f(Y,INF,G,BAD) | INE = f(Y,INF,G,SMD) | INE = f(Y,INF,G,BND) |
---|---|---|---|---|
Lag order | (2,1,2,2,1) | (2,0,2,1,2) | (1,2,2,1,2) | (1,0,2,0,0) |
F-statistics | 6.568** | 7.706*** | 8.741*** | 7.475** |
Structural breaks | 2001 | 2001 | 2001 | 2001 |
Critical values | 1% | 5% | 10% | |
Lower bound | 5.856 | 4.154 | 3.430 | |
Upper bound | 7.578 | 5.540 | 4.624 | |
Diagnostic tests | ||||
\(\chi^{2} NORMAL\) | 0.463 [0.793] | 0.590 [0.744] | 0.913 [0.633] | 0.438 [0.803] |
\(\chi^{2} SERIAL\) | 1.476 [0.263] | 1.541 [0.244] | 2.959 [0.155] | 1.587 [0.236] |
\(\chi^{2} ARCH\) | 1.777 [0.196] | 0.036 [0.851] | 0.259 [0.615] | 0.298 [0.590] |
\(\chi^{2} WHITE\) | 0.836 [0.636] | 1.665 [0.149] | 1.113 [0.448] | 1.707 [0.173] |
\(\chi^{2} RAMSEY\) | 0.842 [0.389] | 0.918 [0.371] | 1.536 [0.162] | 0.041 [0.967] |
CUSUM | Stable | Stable | Stable | Stable |
CUSUMQ | Stable | Stable | Stable | Stable |
Variables | Model I | Model II | Model III | Model IV |
---|---|---|---|---|
Short-run results | ||||
lnY | − 0.145** (− 2.721) | − 0.051 (− 0.856) | − 0.163*** (− 4.714) | − 0.209*** (− 3.342) |
lnINF | 0.020 (0.512) | 0.056*** (5.209) | 0.178*** (6.646) | 0.087* (2.036) |
lnG | − 0.103** (− 2.910) | − 0.205*** (− 4.982) | − 0.068** (− 2.475) | − 0.226*** (− 4.253) |
lnFD | 0.044*** (4.465) | – | – | – |
lnFD2 | − 0.019*** (− 4.198) | – | – | – |
lnBAD | – | 0.035** (2.597) | – | – |
lnBAD2 | – | − 0.020*** (− 3.152) | – | – |
lnSMD | – | – | − 0.020*** (− 5.754) | – |
lnSMD2 | – | – | − 0.005*** (− 4.206) | – |
lnBND | – | – | – | − 0.006 (− 0.543) |
lnBND2 | – | – | – | 0.004 (1.043) |
ECT (− 1) | − 0.090*** (− 4.970) | − 0.218*** (− 4.882) | − 0.911*** (− 6.277) | − 0.582*** (− 6.894) |
Long-run results | ||||
lnY | − 0.051* (− 1.997) | − 0.023** (− 2.525) | − 0.124*** (− 4.807) | − 0.155*** (− 3.313) |
lnINF | 0.030*** (4.803) | 0.025*** (4.557) | 0.009** (2.220) | 0.012** (2.920) |
lnG | − 0.108 (− 1.728) | − 0.174*** (− 3.590) | − 0.227** (− 3.205) | − 0.287** (− 3.021) |
lnFD | 0.051*** (3.359) | – | – | – |
lnFD2 | − 0.015** (− 2.416) | – | – | – |
lnBAD | – | 0.037*** (3.023) | – | – |
lnBAD2 | – | − 0.021** (− 2.835) | – | – |
lnSMD | – | – | − 0.009* (− 1.967) | – |
lnSMD2 | – | – | − 0.006* (− 1.998) | – |
lnBND | – | – | – | 0.012 (0.747) |
lnBND2 | – | – | – | 0.002 (0.443) |